Report

Performance Table

Start date2010-01-04
End date2017-12-29
Total months95
Strategy SPY AAPL AMZN
Annual return 25.0% 13.6% 30.0% 31.2%
Cumulative returns 494.6% 177.0% 714.4% 773.4%
Annual volatility 23.8% 14.6% 25.5% 31.2%
Sharpe ratio 1.06 0.95 1.16 1.03
Calmar ratio 0.88 0.73 0.75 1.02
Stability 0.97 0.96 0.93 0.96
Max drawdown -28.5% -18.6% -40.1% -30.5%
Omega ratio 1.20 1.19 1.23 1.21
Sortino ratio 1.56 1.34 1.73 1.57
Skew -0.01 -0.39 -0.05 0.53
Kurtosis 3.82 4.54 4.48 8.97
Tail ratio 1.01 0.98 1.07 1.05
Daily value at risk -2.9% -1.8% -3.1% -3.8%
Gross leverage 1.00 NaN NaN NaN
Daily turnover 18.3% NaN NaN NaN
Alpha 0.11 0.00 0.16 0.17
Beta 1.04 1.00 0.96 1.11

Returns Analysis

Drawdown Analysis

Net drawdown in % Peak date Valley date Recovery date Duration
0 28.46 2012-09-19 2013-04-19 2013-10-25 288
1 21.11 2010-04-22 2010-07-02 2010-09-24 112
2 20.88 2015-12-08 2016-02-09 2016-05-31 126
3 20.88 2011-09-19 2011-12-14 2012-03-16 130
4 15.12 2011-07-28 2011-08-22 2011-09-15 36

Position Analysis


Interesting Periods Analysis